Nonlinear filtering equations for two-parameter semimartingales

DOI10.1016/0304-4149(83)90035-2MaRDI QIDQ1052745zbMATH OpenOpenAlexFDO

Authors J. Szpirglas, H. Körezlioğlu, Gerald Mazziotto

Publication date 1983

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(83)90035-2

zbMATH Keywords

Girsanov transformation

Mathematics Subject Classification ID

Random fields (60G60) Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25)

Cites work

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• An extension of stochastic integrals in the plane
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• Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On the optimal filtering of diffusion processes
• One-sided recursive filters for two-dimensional random fields (Corresp.)
• Recursive causal linear filtering for two-dimensional random fields
• Recursive filtering for two-dimensional random fields (Corresp.)
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• Stochastic differential equations for the non linear filtering problem
• Stochastic integrals in the plane
• Sur l'int�grabilit� uniforme des martingales exponentielles
• The sample function continuity of stochastic integrals in the plane
• Weak martingales and stochastic integrals in the plane
• Équations du filtrage pour un processus de poisson mélangé á deux indices

Cited in

(2)

• Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise
• A bidimensional approach to mortality risk

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